CMS Case Study
BBA
Portfolio Inventory Summary By Security Group: Entire Portfolio Cloyd Bank & Trust - Greenbow , AL
As Of 12/31/2021
Page 11 of 19
CUSIP
Description
Coupon Pool/Type
Orig Face Face Pledged
Par Value
Yield TEY
Proj. Avg Life
Dur Mod
as of 12/31/21 Market Value Book Value 2,843,858.23 2,789,925.91 1,867,204.06 1,854,365.84 2,792,086.14 2,774,644.69 2,784,028.50 2,767,543.22 2,790,889.54 2,751,232.18 2,850,771.67 2,815,458.62 3,008,630.32 2,975,692.26 1,904,364.96 1,870,366.34 2,919,935.72 2,863,782.38 458,100.12 472,536.66 2,909,552.78 2,861,313.29 605,708.57 627,915.77 2,981,738.27 2,943,445.60 2,972,807.86 2,951,804.53 2,961,990.48 2,897,075.00 1,515,299.91 1,554,523.98 565,873.67 593,229.45
Gain/(Loss) Mkt Price
Prev Mkt Value Prev Mkt Price
% Change
Maturity
PreRefund
as of 12/31/21
Safekeeping
3132D6AA8 FRLMC 15YR
1.0000 SB8101 SB8102 1.5000 1.5000 FM6914 MA4328 1.5000 1.0000 MA4345 SB8109 1.0000 2.0000 FM8146 MA4394 1.0000 SB8113 1.0000 G30949 3.5000 SB8117 1.0000 AL9143 3.5000 1.5000 FM8532 MA4441 1.5000 1.0000 MA4463 G31029 4.0000 4.0000 BM3490
3,050,000.00 2,872,652.50 0.00 2,000,000.00 1,844,193.10 2,000,000.00 3,000,000.00 2,756,871.66 3,000,000.00 3,000,000.00 2,751,521.52 3,000,000.00 3,000,000.00 2,805,391.41 3,000,000.00 3,000,000.00 2,880,860.61 0.00 3,025,000.00 2,889,235.25 3,025,000.00 2,000,000.00 1,907,816.94 0.00 3,025,000.00 2,922,608.38 3,025,000.00 1,525,000.00 441,345.77 762,500.00 3,000,000.00 2,920,383.51 3,000,000.00 1,600,000.00 584,656.06 650,000.00 3,000,000.00 2,925,150.39 3,000,000.00 3,000,000.00 2,935,604.34 0.00 3,000,000.00 2,951,090.70 0.00 3,660,000.00 1,427,685.33 3,660,000.00 1,550,000.00 545,926.18 1,550,000.00
1.194 1.194 1.201 1.201 1.205 1.205 1.222 1.222 1.094 1.094 1.197 1.197 1.061 1.061 1.025 1.025 1.007 1.007 1.925 1.925 1.062 1.062 2.076 2.076 1.076 1.076 1.217 1.217 0.916 0.916 1.593 1.593 2.395 2.395
5.132
4.887
2,803,237.16 96.901014 100.273715 1,872,865.24 100.366834 2,790,436.68 100.273533 2,794,684.10 2,761,400.59 97.734639 2,841,427.20 98.005012 102.907143 3,016,392.59 1,880,163.76 97.691797 2,890,519.99 97.991916 107.134859 505,052.46 97.979801 2,880,806.50 107.490522 647,194.88 100.347621 2,951,558.55 100.273718 2,967,460.50 2,902,062.90 97.804300 109.266677 1,601,693.41 109.051757 619,291.14
97.120202 (53,932.32) 100.551609 (12,838.22) 100.644681 (17,441.45) 100.582285 (16,485.28) 98.069459 (39,657.36) 97.729776 (35,313.05) 102.992384 (32,938.06) 98.036992 (33,998.62) 97.987209 (56,153.34) 107.067224 14,436.54 97.977313 (48,239.49) 107.399173 22,207.20 100.625445 (38,292.67) 100.551852 (21,003.33) 98.169636 (64,915.48) 108.884216 39,224.07 108.664774 27,355.78
0.23
%
CNTB
5/1/36
3132D6AB6 FRLMC 15YR
4.663
4.433
0.28
%
CNTB
5/1/36
3140XAVG4 FNMA 15YR
4.835
4.590
0.28
%
CNTB
5/1/36
31418DY22 FNMA 15YR
4.770
4.528
0.31
%
CNTB
5/1/36
31418DZK1 FNMA 15YR
5.136
4.906
0.34
%
CNTB
5/1/36
3132D6AJ9 FRLMC 15YR
5.286
5.029
(0.28)
%
CNTB
7/1/36
3140XCBQ0 FNMA 15YR
4.482
4.713
0.08
%
CNTB
7/1/36
31418D3C4 FNMA 15YR
5.287
5.058
0.35
%
CNTB
7/1/36
3132D6AN0 FRLMC 15YR
5.285
5.059
0.00
%
CNTB
8/1/36
3132J4H36 FHLMC 20YR
3.685
3.386
(0.06)
%
CNTB
8/1/36
3132D6AS9 FRLMC 15YR
5.328
5.089
0.00
%
CNTB
9/1/36
3138ERER7 FNMA 20YR
3.966
3.619
(0.08)
%
CNTB
9/1/36
3140XCPS1 FNMA 15YR
4.736
4.974
0.28
%
CNTB
9/1/36
31418D5B4 FNMA 15YR
5.011
4.747
0.28
%
CNTB
10/1/36
31418D5Z1 FNMA 15YR
5.276
5.064
0.37
%
CNTB
10/1/36
3132J4LK3 FGLMC 20YR
3.794
3.484
(0.35)
%
CNTB
11/1/36
3140J72Y0 FNMA 20YR
3.699
3.347
(0.35)
%
CNTB
12/1/36
(1) Previous market price is zero. Current market price used. Weighted average Yields, Avg Life, and Mod Dur are weighted by Market Value. Avg Life is Projected Average Life.
(2) Using Current Yield
Although the information in this report has been obtained from sources believed to be reliable, its accuracy cannot be guaranteed.
BBA - Baker Bond Accounting ®
The Baker Group Software Solutions, Inc.
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12/29/2021 1:09 PM - DAW / GUNT
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